By Myron Scholes and Joseph Williams; Estimating betas from nonsynchronous data. Scholes, Myron & Williams, Joseph, “Estimating betas from nonsynchronous data,” Journal of Financial Economics, Elsevier, vol. 5(3), pages Scholes, M. and Williams, J. () Estimating Betas from Nonsynchronous Data. Journal of Financial Economics, 5,
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What you ought to be doing is maximum likelihood estimation MLE. We have no references for this item. Hence the distribution you’ll be using to maximise the likelihood of the observed price will be wider than otherwise. Download full text from publisher File URL: Corrections All material on this site has been provided by the respective publishers and authors. By clicking “Post Your Answer”, you acknowledge that you have read our updated terms of serviceprivacy policy and cookie policyand that your continued use of the website is subject to these policies.
Second, by interpolating you’re underestimating the variance of the asset price in the interval between index price observations. Estimating Beta from unevenly spaced price history Ask Question.
If not, what would be the proper convention? Sign up or log in Sign up using Google. There’s really no proper convention here. I also have a price index of that class of asset compiled by another party on monthly basis.
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Help us Corrections Found an error or omission? Home Questions Tags Crom Unanswered. First, what you ought to be regressing are returns, not prices. See general information about how to correct material in RePEc. By using our site, you acknowledge that you have read and understand our Cookie EstijatingPrivacy Policyand our Terms of Service.
Through your choice of interpolation method, you’re essentially picking an arbitrary price in the middle. This allows to link your profile to this item. Please note that corrections may take a couple of weeks to filter through the various RePEc services.
You can help adding them by using this form. Sign up using Facebook. You can help correct errors and omissions. There are a lot of different options that might be better in some cases than others.
Estimating betas from nonsynchronous data
Right now, I am blindly guessing it through the following steps: Scholes, Myron Williams, Joseph. For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Post as a guest Name. I have a certain non-stock asset that has 1 transaction every 1 to 8 months. Estimating betas from nonsynchronous data.
When requesting a correction, please mention this item’s handle: If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. More about this item Statistics Access and download statistics.
RePEc uses bibliographic data supplied by the respective publishers. Whenever you don’t have synchronous data, you’ll have a probability distribution for the missing price conditional on all other data points in its future and in its past.
This sounds like the same problem faced when doing model fitting on tick and order book data – do you have any handy references to the conversion from simple regression to using proper MLE when transitioning to asynchronous event data?
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If you know of missing items citing this one, betass can help us creating those links by adding the relevant references in the same way as above, for each refering item. Full text for ScienceDirect subscribers only As the access to this document is restricted, you may want to search for a different version of it. How do you estimate the volatility of a sample when points are irregularly spaced?
Also, how much effort you put in might depend on what you’re trying to do and what your boss wants.
More about this item Statistics Access and download statistics Corrections All material on this site has been provided by the respective publishers and authors. You’ll have to assume a parameterized family of joint stochastic processes and estimate the parameters given the price observations.
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